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Fair Value Measurements (Tables)

9 Months Ended

12 Months Ended

Sep. 30, 2022

Dec. 31, 2021

Schedule of valued using the compound option pricing model

The assumptions used in the Black-Scholes option-pricing method related to options issued to employees and nonemployees for the years ended 2020 and 2019 is set forth below:

		Year Ended December 31,
		2020				2019
Weighted-average grant date fair value			$0.83				$0.87
Expected dividend yield			0.00%				0.00%
Expected stock-price volatility			90.00%				89.00% - 104.00%
Risk-free interest rate			0.53%				1.63% - 2.50%
Term of options			5.60				5.76 - 6.08
Fair value per share of common stock on date of grant			$1.16				$1.16
Exercise price			$1.16				$1.16

Fair Value Measurements, Recurring and Nonrecurring [Table Text Block]

The following table presents the Company’s financial assets and liabilities that are measured at fair value (in thousands):

		Fair value measurements at September 30, 2022
		Balance				Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets
Cash and cash equivalents		$	2,483			$	2.483			$	—			$	—
Total assets measured at fair value		$	2,483			$	2.483			$	—			$	—

		Fair value measurements at December 31. 2021
		Balance				Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets
Cash and cash equivalents		$	4,338			$	4,338			$	—			$	—
Total assets measured at fair value		$	4,338			$	4,338			$	—			$	—
Liabilities
Derivative liabilities		$	35,700			$	—			$	—			$	35,700
Total liabilities measured at fair value		$	35,700			$	—			$	—			$	35,700

The following table presents the Company’s financial assets and liabilities that are measured at fair value (in thousands):

		Fair value measurements at December 31, 2021
		Balance				Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets
Cash and cash equivalents		$	4,338			$	4,338			$	—			$	—
Total assets measured at fair value			4,338				4,338				—				—
Liabilities
Derivative liabilities			35,700				—				—				35,700
Total liabilities measured at fair value		$	35,700			$	—			$	—			$	35,700
		Fair value measurements at December 31, 2020
		Balance				Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets
Cash and cash equivalents		$	4,839			$	4,839			$	—			$	—
Total assets measured at fair value			4,839				4,839
Liabilities
Derivative liabilities			35,400				—				—				35,400
Total liabilities measured at fair value		$	35,400			$	—			$	—			$	35,400

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following table includes a summary of the derivative liabilities measured at fair value using significant unobservable inputs (Level 3) during the nine months ended September 30, 2022:

		Fair value
Balance at December 31, 2021		$	35,700
Change in fair value measurement			(35,700	)
Balance at September 30, 2022		$	—

The following table includes a summary of the derivative liabilities measured at fair value using significant unobservable inputs (Level 3) during the years ended December 31, 2021, 2020 and 2019:

		Fair value
Beginning Balance at December 31, 2018		$	—
Additions			10,100
Re-measurement of fair value			23,300
Ending Balance at December 31, 2019			33,400
Additions			2,800
Re-measurement of fair value			(800	)
Ending Balance at December 31, 2020			35,400
Additions			—
Re-measurement of fair value			300
Ending Balance at December 31, 2021		$	35,700

Vicker's Vantage

Schedule of fair value hierarchy of the valuation inputs

Description		Level				September 30, 2022				December 31, 2021
Assets:
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund			1			$	101,293,086			$	139,410,739
Liabilities:
Warrant Liability – Private Placement Warrants			3			$	1,162,800			$	3,351,600
Conversion Option Liability (see Note 5)			3			$	—			$	6,892

Description		Level				December 31, 2021
Assets:
Investments held in Trust Account — U.S. Treasury Securities Money Market Fund			1			$	139,410,739
Liabilities:
Warrant Liability — Private Placement Warrants			3			$	3,351,600
Conversion Option Liability (see Note 5)			3			$	6,892

Schedule of quantitative information regarding Level 3 fair value measurements

		As of September 30, 2022				As of December 31, 2021
Stock price		$	10.33			$	10.04
Strike price		$	11.50			$	11.50
Term (in years)			5.00				5.28
Volatility			0.0	%			8.3	%
Risk-free rate			4.03	%			1.28	%
Dividend yield			0.0	%			0.0	%
Fair value of warrants		$	0.17			$	0.49

		As of December 31, 2021
Stock price		$	10.04
Strike price		$	11.50
Term (in years)			5.28
Volatility			8.3	%
Risk-free rate			1.28	%
Dividend yield			0.0	%
Fair value of warrants		$	0.49

Schedule of changes in the fair value of warrant liabilities

		Private Placement
Fair value as of January 1, 2021		$	—
Initial measurement on January 11, 2021			7,729,200
Change in valuation inputs or other assumptions			(4,104,000	)
Fair value of as of March 31, 2021			3,625,200
Change in valuation inputs or other assumptions			68,400
Fair value of as of June 30, 2021			3,693,600
Change in valuation inputs or other assumptions			1,162,800
Fair value of as of September 30, 2021			4,856,400
Change in valuation inputs or other assumptions			(1,504,800	)
Fair value of as of December 31, 2021			3,351,600
Change in valuation inputs or other assumptions			410,400
Fair value as of March 31, 2022			3,762,000
Change in valuation inputs or other assumptions			(2,530,800	)
Fair value as of June 30, 2022			1,231,200
Change in valuation inputs or other assumptions			(68,400	)
Fair value as of September 30, 2022		$	1,162,800

		Conversion Option Liability
Fair value as of January 1, 2021		$	—
Initial measurement on December 20, 2021			18,727
Change in valuation inputs or other assumptions			(11,835	)
Fair value of as of December 31, 2021			6,892
Initial measurement on January 10, 2022			—
Initial measurement on January 27, 2022			—
Change in valuation inputs or other assumptions			69,896
Fair value as of March 31, 2022			76,788
Change in valuation inputs or other assumptions			(76,788	)
Fair value as of June 30, 2022 and September 30, 2022		$	—

		Private Placement
Fair value as of January 1, 2021		$	—
Initial measurement on January 11, 2021			7,729,200
Change in valuation inputs or other assumptions			(4,377,600	)
Fair value as of December 31, 2021		$	3,351,600

Schedule of valued using the compound option pricing model

		As of September 30, 2022				As of December 31, 2021
Underlying warrant value		$	0.0000			$	0.0103
Exercise price		$	0.75			$	0.75
Holding period			0.50				0.28
Risk-free rate			4.03	%			1.28	%
Volatility			5.3	%			8.3	%
Dividend yield			0.0	%			0.0	%

		December 31, 2021				December 20, 2021 (Initial Measurement)
Underlying warrant value		$	0.0103			$	0.0281
Exercise price		$	0.75			$	0.75
Holding period			0.28				0.31
Risk-free rate %			1.28	%			1.19	%
Volatility%			8.3	%			9.3	%
Dividend yield %			0.0	%			0.0	%

Schedule of change in the fair value of conversion option liability

Fair value as of January 1, 2021		$	—
Initial measurement on December 20, 2021			18,727
Change in fair value			(11,835	)
Fair value as of December 31, 2021		$	6,892

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Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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